HBO is great in that they have a "music" page for every episode of True Detective. There are people on YouTube making special videos for each track and such, and a few playlists here and there, but I thought I'd post the one that I made of all the songs listed so far, for all your brooding needs.

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There are only two songs missing, not to be found anywhere on YouTube (Jo-El Sonnier's The Heart that You Own from episode 3 and Bobby Charles' Les Champs Elysee from episode 6). I'll do my best to update this list as soon as possible for the next two episodes.